A meta-measure of performance related to both investors and investments characteristics

Monica Billio, Bertrand Maillet () and Loriana Pelizzon ()
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Bertrand Maillet: EM - EMLyon Business School, UR - Université de La Réunion

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Abstract: We introduce hereafter a new flexible meta-measurement of portfolio performance, called the Generalized Utility-based N-moment measure, relying both on a characterization of the whole return distribution and on the set of preferences of the investor, which is adapted to analyze the performance of hedge funds. It could also serve as the basis of a Fraudulent Behavior Index aiming to detect fraudulent funds.

Keywords: Performance measure; Higher Moments; Utility Framework (search for similar items in EconPapers)
Date: 2021-08
Note: View the original document on HAL open archive server: https://hal.science/hal-02933252v1
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Published in Annals of Operations Research, 2021, 313 (2), 1405-1447 p. ⟨10.1007/s10479-020-03771-w⟩

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Journal Article: A meta-measure of performance related to both investors and investments characteristics (2022)
Working Paper: A meta-measure of performance related to both investors and investments characteristics (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02933252

DOI: 10.1007/s10479-020-03771-w

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